"I don't want to come off creepy but that was a bold choice on her behalf," Ferrell said. "It was always in the script, but I think it's just another aspect of her amazing performance in this."

And how bold it was. The scene was shot in casino while it was up and running, but they somehow managed to keep gambling patrons from seeing Wiig in all her nakedness.

While it may sound funny, Wiig said that she and the filmmakers made sure they were not mocking people with mental illness.

"It's definitely got some heavy moments and comedic moments, but we were really careful to see where Alice was coming from and that we were laughing with her," she said. "I'm very conscious of the that."

Directed by Shira Piven, Welcome to Me also stars James Marsden and Mad Men's Linda Cardellini.